请老师批改一下

NO.PZ2019092801000002 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. part of Shain’s e ligenon a hee funthimplements a long/short equity strategy, she uses a contionlinefactor mol to uncover ananalyze the hee funs risk exposures. She is interestein analyzing severrisk factors, but she is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio.1. scrihow the contionlinefactor mol cuseto aress Shain’s concern.ring a monthly boarmeeting, Shain scusses her uptemarket forecast for equity markets. e to a recent large increase in interest rates angeopolitictensions, her forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets. Given this new market view, Shain conclus tha long/short strategy will not optimthis time anseeks another equity-relatestrategy. The Funhthe capacity to use a substantiamount of leverage.2. termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response. 1. A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. Sinhee funstrategies are namia contionmol allows for the analysis in a specific market environment to termine whether hee funstrategies are exposeto certain risks unr abnormmarket contions. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio. ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).A linefactor mol 可以提供对冲基金投资的特征和风险的见解。——由于对冲基金策略是动态的，因此条件模型允许在特定的市场环境中进行分析，以确定对冲基金策略在异常市场条件下是否承受某些风险。条件模型显示了在平静的市场时期中微不足道的对冲基金风险敞口（例如信贷或波动性）在动荡的市场时期中是否可能变得重要。——在股票上涨的正常时期，期望的股票投资（标准普尔500指数）应该较多（为正数），以便从更高的预期收益中受益。 但是，在股市急剧下跌的危机时期，所需的股票敞口应该是较少（负数）。扩折号前的内容是答案核心。后面为说明，能看懂就行。也就是这两句内容A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio.这个在咱们教材中也有2. Shain shoulemploy equity market-neutr(EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation ring perio of non-trenng or clining markets. EMN hee funstrategies take opposite (long anshort) positions in similor relateequities having vergent valuations while attempting to maintain a nenet zero portfolio exposure to the market. EMN managers neutralize market risk constructing their portfolios suththe expecteportfolio beta is approximately equto zero. Moreover, EMN managers often choose to set the betfor sectors or instries well for common risk factors (e.g., market size, price-to-earnings ratio, anbook-to-market ratio) equto zero. Sinthese portfolios not take beta risk anattempt to neutralize many other factor risks, they typically must apply leverage to the long anshort positions to achieve a meaningful return profile from their invistoselections.EMN strategies typically liver return profiles thare steaer anless volatile ththose of many other hee strategy areas. Over time, their conservative anconstraineapproatypically results in a less namic overall return profile ththose of managers who accept beta exposure. spite the use of substantileverage anbecause of their more stanranoverall stea risk/return profiles, equity market-neutrmanagers are often a preferrereplacement for fixeincome managers ring perio when fixeincome returns are unattractively low.简单归纳一下，题干的核心是基金经理认为市场将从适度上涨变为无趋势（non-trenng），问这种预期下要把L/S策略改成哪种equity策略更好。集体的核心思路是对于non-trenng的市场，maerket neutral策略最合适。答案其余部分长篇大论的都是在分析了market-nuetral策略的特点和应用，上课都讲过。pslong/short strategy并不是beta要等于0的，可以用net long 或者 net short, 一般net long的情况会比较多，因为股票市场长期是上涨的。而Equity market neutral就是要求一定是beta=0。两者只是在这里有区别，策略的本质思路是一样的。 linefactor mol 可以提供对冲基金投资的特征和风险的见解。——由于对冲基金策略是动态的，因此条件模型允许在特定的市场环境中进行分析，以确定对冲基金策略在异常市场条件下是否承受某些风险。

NO.PZ2019092801000002 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. part of Shain’s e ligenon a hee funthimplements a long/short equity strategy, she uses a contionlinefactor mol to uncover ananalyze the hee funs risk exposures. She is interestein analyzing severrisk factors, but she is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio.1. scrihow the contionlinefactor mol cuseto aress Shain’s concern.ring a monthly boarmeeting, Shain scusses her uptemarket forecast for equity markets. e to a recent large increase in interest rates angeopolitictensions, her forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets. Given this new market view, Shain conclus tha long/short strategy will not optimthis time anseeks another equity-relatestrategy. The Funhthe capacity to use a substantiamount of leverage.2. termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response. 1. A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. Sinhee funstrategies are namia contionmol allows for the analysis in a specific market environment to termine whether hee funstrategies are exposeto certain risks unr abnormmarket contions. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio. ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).A linefactor mol 可以提供对冲基金投资的特征和风险的见解。——由于对冲基金策略是动态的，因此条件模型允许在特定的市场环境中进行分析，以确定对冲基金策略在异常市场条件下是否承受某些风险。条件模型显示了在平静的市场时期中微不足道的对冲基金风险敞口（例如信贷或波动性）在动荡的市场时期中是否可能变得重要。——在股票上涨的正常时期，期望的股票投资（标准普尔500指数）应该较多（为正数），以便从更高的预期收益中受益。 但是，在股市急剧下跌的危机时期，所需的股票敞口应该是较少（负数）。扩折号前的内容是答案核心。后面为说明，能看懂就行。也就是这两句内容A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio.这个在咱们教材中也有2. Shain shoulemploy equity market-neutr(EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation ring perio of non-trenng or clining markets. EMN hee funstrategies take opposite (long anshort) positions in similor relateequities having vergent valuations while attempting to maintain a nenet zero portfolio exposure to the market. EMN managers neutralize market risk constructing their portfolios suththe expecteportfolio beta is approximately equto zero. Moreover, EMN managers often choose to set the betfor sectors or instries well for common risk factors (e.g., market size, price-to-earnings ratio, anbook-to-market ratio) equto zero. Sinthese portfolios not take beta risk anattempt to neutralize many other factor risks, they typically must apply leverage to the long anshort positions to achieve a meaningful return profile from their invistoselections.EMN strategies typically liver return profiles thare steaer anless volatile ththose of many other hee strategy areas. Over time, their conservative anconstraineapproatypically results in a less namic overall return profile ththose of managers who accept beta exposure. spite the use of substantileverage anbecause of their more stanranoverall stea risk/return profiles, equity market-neutrmanagers are often a preferrereplacement for fixeincome managers ring perio when fixeincome returns are unattractively low.简单归纳一下，题干的核心是基金经理认为市场将从适度上涨变为无趋势（non-trenng），问这种预期下要把L/S策略改成哪种equity策略更好。集体的核心思路是对于non-trenng的市场，maerket neutral策略最合适。答案其余部分长篇大论的都是在分析了market-nuetral策略的特点和应用，上课都讲过。pslong/short strategy并不是beta要等于0的，可以用net long 或者 net short, 一般net long的情况会比较多，因为股票市场长期是上涨的。而Equity market neutral就是要求一定是beta=0。两者只是在这里有区别，策略的本质思路是一样的。 我的答案如下，麻烦老师批改，谢谢！！！1. scrihow the contionlinefactor mol cuseto aress Shain’s concern.The contionlinefactor mol uses mmy variables to stinguish whether the market is normor in stress. She is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio , therefore she caust the mmy variable to see the fference. 2. termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response.Equity market neutris suitable. Sinthe recent large increase in interest rates angeopolitictensions, anher forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets, the market beta will have more volatility. Equity market neutrha beta of zero ancavoimarket risk.

NO.PZ2019092801000002 问题如下 Jane Shain is the chief investment officer of a large pension fun The pension funis basein the UniteStates ancurrently hminimexposure to hee fun. The pension funs boarhrecently approveaitioninvestment in a long/short equity strategy. part of Shain’s e ligenon a hee funthimplements a long/short equity strategy, she uses a contionlinefactor mol to uncover ananalyze the hee funs risk exposures. She is interestein analyzing severrisk factors, but she is specifically concerneabout whether the hee funs long (positive) exposure to equities increases ring turbulent market perio.1. scrihow the contionlinefactor mol cuseto aress Shain’s concern.ring a monthly boarmeeting, Shain scusses her uptemarket forecast for equity markets. e to a recent large increase in interest rates angeopolitictensions, her forecast hchangefrom one of mostly rising equities to severperio of non-trenng markets. Given this new market view, Shain conclus tha long/short strategy will not optimthis time anseeks another equity-relatestrategy. The Funhthe capacity to use a substantiamount of leverage.2. termine the most appropriate equity-relatehee funstrategy thShain shoulemploy. Justify your response. 1. A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. Sinhee funstrategies are namia contionmol allows for the analysis in a specific market environment to termine whether hee funstrategies are exposeto certain risks unr abnormmarket contions. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio. ring normperio when equities are rising, the sireexposure to equities (S P 500 Inx) shoullong (positive) to benefit from higher expectereturns. However, ring crisis perio when equities are falling sharply, the sireexposure to equities shoulshort (negative).A linefactor mol 可以提供对冲基金投资的特征和风险的见解。——由于对冲基金策略是动态的，因此条件模型允许在特定的市场环境中进行分析，以确定对冲基金策略在异常市场条件下是否承受某些风险。条件模型显示了在平静的市场时期中微不足道的对冲基金风险敞口（例如信贷或波动性）在动荡的市场时期中是否可能变得重要。——在股票上涨的正常时期，期望的股票投资（标准普尔500指数）应该较多（为正数），以便从更高的预期收益中受益。 但是，在股市急剧下跌的危机时期，所需的股票敞口应该是较少（负数）。扩折号前的内容是答案核心。后面为说明，能看懂就行。也就是这两句内容A linefactor mol cprovi insights into the intrinsic characteristianrisks in a hee funinvestment. A contionmol cshow whether hee funrisk exposures to equities thare insignificant ring calm perio become significant ring turbulent market perio.这个在咱们教材中也有2. Shain shoulemploy equity market-neutr(EMN) equity strategy. Overall, EMN managers are more useful for portfolio allocation ring perio of non-trenng or clining markets. EMN hee funstrategies take opposite (long anshort) positions in similor relateequities having vergent valuations while attempting to maintain a nenet zero portfolio exposure to the market. EMN managers neutralize market risk constructing their portfolios suththe expecteportfolio beta is approximately equto zero. Moreover, EMN managers often choose to set the betfor sectors or instries well for common risk factors (e.g., market size, price-to-earnings ratio, anbook-to-market ratio) equto zero. Sinthese portfolios not take beta risk anattempt to neutralize many other factor risks, they typically must apply leverage to the long anshort positions to achieve a meaningful return profile from their invistoselections.EMN strategies typically liver return profiles thare steaer anless volatile ththose of many other hee strategy areas. Over time, their conservative anconstraineapproatypically results in a less namic overall return profile ththose of managers who accept beta exposure. spite the use of substantileverage anbecause of their more stanranoverall stea risk/return profiles, equity market-neutrmanagers are often a preferrereplacement for fixeincome managers ring perio when fixeincome returns are unattractively low.简单归纳一下，题干的核心是基金经理认为市场将从适度上涨变为无趋势（non-trenng），问这种预期下要把L/S策略改成哪种equity策略更好。集体的核心思路是对于non-trenng的市场，maerket neutral策略最合适。答案其余部分长篇大论的都是在分析了market-nuetral策略的特点和应用，上课都讲过。pslong/short strategy并不是beta要等于0的，可以用net long 或者 net short, 一般net long的情况会比较多，因为股票市场长期是上涨的。而Equity market neutral就是要求一定是beta=0。两者只是在这里有区别，策略的本质思路是一样的。 答案里的contiona linemol也不是equity-relatestrategy呀，要怎么思考呢